An Investigation into the Momentum Anomaly in the Market for Bitcoin

This paper examines the momentum anomaly with regard to daily returns on the bitcoin market from 23/07/2010 to 06/03/2013. The study represents a test of the efficiency of the market with an emphasis on the role of behavioural factors in explaining the anomaly. A combination of stationarity and autocorrelation tests was used to examine whether bitcoin satisfies the weak form of the Efficient Market Hypothesis. It was concluded that bitcoin returns do not follow a random walk and the time series exhibits predictability. Further analysis of the autocorrelation tests revealed substantial evidence of momentum in daily bitcoin returns in addition to other peculiarities.